Siem Jan Koopman | research | projects | vu econometrics |

Professor of Econometrics
Vrije Universiteit Amsterdam
CREATES, Aarhus University
Tinbergen Institute

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Siem Jan Koopman

Department of Econometrics | VU Amsterdam | Faculty of Economics and Business

Address: S.J. Koopman | Department of Econometrics | VU Amsterdam | De Boelelaan 1105 | 1081 HV Amsterdam | The Netherlands
My Office: VU Campus | Main Building | A wing | Eleventh Floor | Room 11A-95
Telephone:+31 20 598 60 19
Fax:+31 20 598 60 20
E-mail: s.j.koopman [at]
Secretary: Hedda Werkman (+31 20 598 6010)

Short CV

SJK is Professor of Econometrics at the Department of Econometrics, Vrije Universiteit Amsterdam. He is also a research fellow at Tinbergen Institute and a long-term Visiting Professor at CREATES, University of Aarhus. Furthermore, he is a Journal of Applied Econometrics Distinguished Author, and Fellow of the Society of Financial Econometrics (SoFiE).

He held positions at London School of Economics and CentER (Tilburg University), and had long-term visits at US Bureau of the Census, European University Institute, and European Central Bank, Financial Research.

The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001, the Second Edition in 2012. The book An Introduction to State Space Time Series Analysis appeared in 2007 and is written by J.J.F. Commandeur and SJK. His other books (co-authored, software and editorial) are listed here.

The research interests of SJK cover topics in time series econometrics, financial econometrics, forecasting and simulation-based estimation. His current research focusses on score-driven time-varying parameter models (GAS models), state space models and dynamic factor models. He fullfills editorial duties at Journal of Business and Economic Statistics, Journal of Applied Econometrics, and Journal of Forecasting. Finally, SJK is an OxMetrics software developer for STAMP and SsfPack.